Actually, there is at least one third-party product (for legal compliancy and discovery), CommonDesk, that can log message conversations from the official IM clients from RIM (Yahoo, GTalk, AIM, ICQ, MSN). With that said, it uses an application that would reside on your device.
I don't think I ever visited their website until now. I believe they need a new web designer. Their product is quite interesting, though.
Out of the box, without implementing a rather expensive third-party solution, you have absolutely nothing to worry about. Worst case scenario is to download/purchase a third-party IM client (BeeJive, IM+, etc).